Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0063 |
| Annualized Std Dev | 0.4286 |
| Annualized Sharpe (Rf=0%) | -0.0148 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3732.0000 |
| NAs | 1.0000 |
| Minimum | -0.2282 |
| Quartile 1 | -0.0140 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0144 |
| Maximum | 0.2654 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0007 |
| Stdev | 0.0270 |
| Skewness | 0.2290 |
| Kurtosis | 7.2938 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0188 |
| Gain Deviation | 0.0196 |
| Loss Deviation | 0.0183 |
| Downside Deviation (MAR=210%) | 0.0233 |
| Downside Deviation (Rf=0%) | 0.0186 |
| Downside Deviation (0%) | 0.0186 |
| Maximum Drawdown | 0.8128 |
| Historical VaR (95%) | -0.0399 |
| Historical ES (95%) | -0.0592 |
| Modified VaR (95%) | -0.0383 |
| Modified ES (95%) | -0.0468 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-09-09 | 2016-01-19 | NA | -0.8128 | 2398 | 1096 | NA |
| 2008-03-17 | 2008-10-27 | 2010-09-28 | -0.7099 | 640 | 157 | 483 |
| 2006-09-06 | 2006-10-03 | 2007-02-26 | -0.2052 | 118 | 20 | 98 |
| 2007-07-20 | 2007-08-16 | 2007-09-18 | -0.1996 | 42 | 20 | 22 |
| 2011-04-11 | 2011-06-16 | 2011-09-02 | -0.1903 | 102 | 47 | 55 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | -0.8 | 1.9 | 2.6 | 0.7 | -0.9 | 0.2 | -1 | -0.6 | 2 |
| 2007 | 0.6 | -1.9 | 0.3 | -0.7 | 2.3 | 0.7 | -1.2 | 3.1 | 1 | -3.5 | -1.4 | -1.7 | -2.4 |
| 2008 | -2.4 | -2.3 | -2.7 | -2.2 | 1.7 | 1.9 | -2.5 | -0.7 | -0.1 | -3.5 | -15.3 | 2.7 | -23.6 |
| 2009 | -0.5 | -0.4 | 4.7 | 0.4 | -1.7 | 4.2 | 4.2 | -1.8 | -4.9 | -3.3 | 5 | 0.7 | 6.2 |
| 2010 | 5.5 | 1.7 | 4.5 | 0.4 | -0.1 | -4.5 | 1.1 | -1.4 | 1.2 | -0.1 | 1.3 | 1 | 10.6 |
| 2011 | 2.8 | 1.6 | -0.5 | 1.5 | -1.9 | -1.6 | 0.8 | 0.9 | 0.3 | -0.5 | -0.2 | 0.4 | 3.7 |
| 2012 | 0.2 | 0.9 | 1 | 0.1 | 6.4 | 3.4 | -1.4 | 4.2 | 0.4 | -1.7 | -1 | 3.2 | 16.5 |
| 2013 | 1.4 | -0.8 | -1.1 | -2.3 | -1.9 | 1.6 | -3 | -1.4 | -2.4 | -4.1 | 2.2 | 2.4 | -9.3 |
| 2014 | 0 | -0.3 | 0.4 | -1.3 | 1.2 | -0.8 | 1.1 | 0.9 | 0.2 | -5.4 | 7.4 | -0.4 | 2.4 |
| 2015 | 3.2 | 1.5 | 5.3 | 0.8 | -0.5 | -2.7 | 2.2 | -3.1 | -2.4 | -1.1 | 2.9 | 0.4 | 6.5 |
| 2016 | 3.1 | -4.2 | 0.8 | 6.4 | 0.6 | 4.8 | 1.1 | 3.6 | -1 | 2.5 | -0.8 | -3.8 | 13.3 |
| 2017 | -0.3 | 0.6 | 1.2 | -2.4 | -0.4 | 0.6 | -0.1 | 0.2 | -0.9 | 0 | 0.1 | 0.2 | -1.4 |
| 2018 | -0.2 | 1 | 1.5 | 0.1 | -0.1 | 1.7 | -0.8 | -0.7 | 0.2 | 3.4 | -0.4 | 2.4 | 8.2 |
| 2019 | -0.5 | -2.4 | -2.1 | -1.8 | 3.9 | -3.8 | 5.1 | 0.7 | 0.8 | -0.5 | 1.6 | -0.7 | -0.1 |
| 2020 | 0.9 | -6.9 | 4.3 | 3.2 | 3.1 | -0.3 | 3.1 | -1.4 | 1 | 1.5 | 3.7 | -1.5 | 10.7 |
| 2021 | 3.4 | -0.7 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-05-22 37.2 SPY 126. -0.0076 -0.026 -0.0383 -0.0184 0.0588 0.361 0.00120 GLD 65.3 -0.0043 -0.0313
2 2006-05-23 38.0 SPY 125. -0.0076 -0.032 -0.0438 -0.0317 0.045 0.338 -0.0293 GLD 66.4 0.0165 -0.0325
3 2006-05-24 36.5 SPY 126. 0.008 -0.0054 -0.0322 -0.0225 0.0558 0.346 -0.0231 GLD 64.1 -0.035 -0.06
4 2006-05-25 38.3 SPY 128. 0.0124 0.012 -0.0205 -0.013 0.0697 0.339 -0.0155 GLD 64.7 0.01 -0.0409
5 2006-05-26 38.6 SPY 128. 0.0051 0.0101 -0.0202 -0.0083 0.0694 0.342 -0.0248 GLD 65.1 0.0062 -0.0073
6 2006-05-30 38.2 SPY 126. -0.0178 -0.0002 -0.0408 -0.0166 0.0486 0.322 -0.0409 GLD 65.1 0.0002 -0.00290
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
